How do you change O2 sensors?

Unplug it, screw it out and screw in the new one, then plug it in. In some cases, they don't come with plugs that are compatible with the old plugs, and you'll need to splice and/or solder the wire, but if that's the case the instructions will generally give you a really good step-by-step procedure to follow.

The worst part is getting the old one to break loose. Sometimes, since they've been in the hot exhaust manifold for so long, they can rust into place and be difficult to remove. If you can't get it loose, use a bigger bar. It WILL come out.